Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0027 |
| Annualized Std Dev | 0.1459 |
| Annualized Sharpe (Rf=0%) | -0.0186 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1356 |
| Quartile 1 | -0.0034 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0036 |
| Maximum | 0.1285 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0092 |
| Skewness | -1.0463 |
| Kurtosis | 39.9156 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0068 |
| Gain Deviation | 0.0068 |
| Loss Deviation | 0.0082 |
| Downside Deviation (MAR=210%) | 0.0118 |
| Downside Deviation (Rf=0%) | 0.0068 |
| Downside Deviation (0%) | 0.0068 |
| Maximum Drawdown | 0.4746 |
| Historical VaR (95%) | -0.0114 |
| Historical ES (95%) | -0.0213 |
| Modified VaR (95%) | -0.0102 |
| Modified ES (95%) | -0.0102 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2013-05-02 | 2020-03-18 | NA | -0.4746 | 1986 | 1732 | NA |
| 2001-03-05 | 2008-10-10 | 2010-04-20 | -0.4228 | 2295 | 1913 | 382 |
| 1999-02-04 | 1999-12-27 | 2001-01-17 | -0.1698 | 493 | 226 | 267 |
| 2010-11-08 | 2011-10-04 | 2012-07-16 | -0.1586 | 425 | 229 | 196 |
| 2010-05-04 | 2010-05-26 | 2010-07-26 | -0.0914 | 58 | 17 | 41 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 1 | 1 | 2 | -1 | -1 | 1 | 0 | 1 | 1 | -1 | 0 | -1.1 | 2.8 |
| 2000 | 1.1 | 1.1 | 1.1 | 0 | 0 | 1 | 0 | 0 | 1 | 0 | 2.1 | 0 | 7.6 |
| 2001 | 1.1 | 2.6 | 0.9 | 0.8 | 0.9 | -0.3 | -0.5 | 0.3 | 0.8 | 1.7 | 0 | -0.2 | 8.4 |
| 2002 | 0.3 | -0.2 | -0.3 | 0.7 | 0.5 | 0.5 | -0.2 | 0.7 | 0.7 | 1.6 | 0.7 | 0.9 | 6 |
| 2003 | -0.5 | 0 | 1 | 0.2 | 0.6 | 0.3 | 0 | -0.2 | 1.5 | 1.4 | -0.5 | 0.5 | 4.4 |
| 2004 | -0.3 | -0.5 | 0 | 0 | 0.3 | 0.2 | 0 | -0.3 | -0.3 | 0.5 | 0.8 | 0.3 | 0.7 |
| 2005 | -0.6 | 0.3 | 1 | 0.5 | 0.2 | -0.8 | 0.5 | 0.3 | -0.6 | 0.2 | -2.6 | -0.5 | -2.3 |
| 2006 | -0.2 | 0.2 | -0.5 | -0.2 | -0.2 | 0.2 | 0.5 | 0 | 0.2 | 0.2 | 0.3 | 0 | 0.5 |
| 2007 | 0.2 | -0.3 | -0.2 | 0.3 | -0.7 | 0.7 | -0.2 | 0 | 0.6 | -0.3 | 0.5 | 1.1 | 1.7 |
| 2008 | 0.2 | -0.2 | 0.5 | 0.5 | 0.3 | 0 | 0.2 | -0.7 | 0.6 | 1.1 | -3.9 | -0.6 | -2.1 |
| 2009 | 1.2 | 1.2 | 0.8 | 0.6 | 0.9 | 0 | 1.5 | -1 | 0.3 | -1.5 | 0.6 | 0.6 | 5.3 |
| 2010 | 2 | 0.5 | -0.2 | 0.3 | 1.3 | 0.2 | 0.6 | 0.1 | 0.4 | 0.3 | 0 | 1.2 | 6.8 |
| 2011 | 0.3 | 0.6 | 0.9 | 0.1 | 0.4 | 1.3 | 1.8 | -0.1 | -1.6 | -0.1 | 1.2 | -1 | 3.8 |
| 2012 | 1 | -0.1 | -0.1 | 0.1 | -0.7 | 0.1 | -0.1 | 0.6 | 0.5 | 1.1 | -0.1 | 0.8 | 3.1 |
| 2013 | 1.1 | 0.4 | 0.4 | 0.4 | -4.3 | 1.5 | -1.1 | -0.2 | -0.3 | 0.2 | 0 | -0.3 | -2.3 |
| 2014 | -0.6 | -0.5 | -0.2 | 0.8 | 0.2 | -0.2 | -0.5 | 0.5 | -0.3 | 0.3 | -0.2 | 0.8 | 0.1 |
| 2015 | 0.2 | 0 | 0 | 0.3 | 1.1 | 1.5 | 0 | 1 | 0 | 1.5 | 1.4 | 0.2 | 7.4 |
| 2016 | -0.2 | 1.3 | 0.3 | 0.7 | 0.5 | 0 | -0.3 | 0 | 0.5 | -0.2 | -0.7 | 0.3 | 2.3 |
| 2017 | 0.7 | 0.3 | 0.7 | -0.2 | -0.2 | 0.8 | 0.5 | 0 | 0 | 0.5 | 0.7 | 0.3 | 4.2 |
| 2018 | 0.7 | -0.2 | 0.7 | 0.3 | -0.2 | 0.2 | -0.2 | 0 | 1.4 | 1 | 0.9 | -1.2 | 3.6 |
| 2019 | 0.5 | 0.9 | 0.7 | 1.1 | -0.5 | 0.3 | 0 | -0.3 | 0.5 | 0.7 | 0 | -0.6 | 3.2 |
| 2020 | -0.6 | -3.4 | -4.8 | 0 | 1.2 | 0.9 | 0.7 | 3.9 | 1.2 | -0.7 | 1.2 | -1.8 | -2.4 |
| 2021 | 0.7 | 0.8 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
